50% VT 50% Cash

Portfolio Specification

Assets

VANGUARD TOTAL WORLD STOCK INDEX FUND ETF SHARES (VT) 50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) 50.00%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 4m 22d)

Returns (annualized)

Portfolio 5.09%
Benchmark 11.95%

Risk (annualized)

Portfolio 9.72%
Benchmark 19.99%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.60

Excess Return (annualized)

-6.86%

Tracking Error (annualized)

11.26%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 10.45% 21.23%
Sortino Ratio 0.40 0.57
Calmar Ratio 0.15 0.25
Ulcer Index 15.37 15.02
Max Drawdown 26.99% 47.17%
VaR (99% Confidence) $-2,261 $-4,648
VaR (99.9% Confidence) $-3,003 $-6,175
Beta to Benchmark 0.46 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.68

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4937 0.9830 -0.4893
Size Factor 0.0202 -0.0585 0.0787
Style Factor 0.0060 0.0128 -0.0068
U.S. Tilt (Non U.S.) 0.0077 0.3973 -0.3896

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution